Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Author | Genaro Sucarrat |

Date of publication | 2015-09-15 19:46:40 |

Maintainer | Genaro Sucarrat <genaro.sucarrat@bi.no> |

License | GPL-2 |

Version | 0.6-2 |

http://www.sucarrat.net/ |

**coef.lgarch:** Extraction methods for 'lgarch' objects

**coef.mlgarch:** Extraction methods for 'mlgarch' objects

**gdiff:** Difference a vector or a matrix, with special treatment of...

**glag:** Lag a vector or a matrix, with special treatment of zoo...

**lgarch:** Estimate a log-GARCH model

**lgarchObjective:** Auxiliary functions

**lgarch-package:** Simulation and estimation of log-GARCH models

**lgarchSim:** Simulate from a univariate log-GARCH model

**mlgarch:** Estimate a multivariate CCC-log-GARCH(1,1) model

**mlgarchObjective:** Auxiliary functions

**mlgarchSim:** Simulate from a multivariate log-GARCH(1,1) model

**rmnorm:** Random number generation from the multivariate normal...

lgarch

lgarch/src

lgarch/src/lgarch.cpp

lgarch/NAMESPACE

lgarch/NEWS

lgarch/R

lgarch/R/lgarchSim.R
lgarch/R/fitted.mlgarch.R
lgarch/R/logLik.mlgarch.R
lgarch/R/gdiff.R
lgarch/R/lgarch-internal.R
lgarch/R/vcov.mlgarch.R
lgarch/R/print.lgarch.R
lgarch/R/rss.R
lgarch/R/coef.mlgarch.R
lgarch/R/rmnorm.R
lgarch/R/logLik.lgarch.R
lgarch/R/mlgarchObjective.R
lgarch/R/mlgarchSim.R
lgarch/R/mlgarchRecursion1.R
lgarch/R/residuals.mlgarch.R
lgarch/R/lgarchObjective.R
lgarch/R/fitted.lgarch.R
lgarch/R/glag.R
lgarch/R/summary.lgarch.R
lgarch/R/vcov.lgarch.R
lgarch/R/residuals.lgarch.R
lgarch/R/lgarchRecursion1.R
lgarch/R/summary.mlgarch.R
lgarch/R/mlgarch.R
lgarch/R/print.mlgarch.R
lgarch/R/lgarch.R
lgarch/R/coef.lgarch.R
lgarch/MD5

lgarch/DESCRIPTION

lgarch/man

lgarch/man/lgarch.Rd
lgarch/man/mlgarchObjective.Rd
lgarch/man/rmnorm.Rd
lgarch/man/lgarchObjective.Rd
lgarch/man/lgarchSim.Rd
lgarch/man/coef.mlgarch.Rd
lgarch/man/mlgarch.Rd
lgarch/man/glag.Rd
lgarch/man/lgarch-package.Rd
lgarch/man/mlgarchSim.Rd
lgarch/man/gdiff.Rd
lgarch/man/coef.lgarch.Rd
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